The integration of the credit default swap markets during the US subprime crisis: Dynamic correlation analysis

This is the post-print version of the final paper published in Journal of International Financial Markets, Institutions and Money. The published article is available from the link below. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. Copyright @ 2011 Elsevier B.V.This paper investigates the integration of the credit default swap (CDS) markets of 38 developed and emerging countries with the US market during the subprime crisis period by utilising dynamic conditional correlation from the multivariate GARCH model. Evidence reveals that the Lehman shock seems to have strengthened the integration, in particular, for developed markets. For both developed and emerging markets, declining US interest rates are found to be the main driving factor behind the higher level of correlation, suggesting that the CDS markets were heavily driven by the world largest economy when the crisis reached its peak

ウィリアム・シェイクスピア作品におけるじゃじゃ馬研究

Tohoku University大河内昌課

正常高値アルブミン尿は推算糸球体濾過量が60 ml/min/1.73 m2以上の男性集団において無症候性動脈硬化症と関連する

広島大学(Hiroshima University)博士(医学)Doctor of Philosophy in Medical Sciencedoctora